Finite-sample distribution of regression quantiles

Finite-sample distribution of regression quantiles

The finite-sample distributions of the regression quantile and of the extreme regression quantile are derived for a broad class of distributions of the model errors, even for the non-i.i.d case. The distributions are analogous to the corresponding distributions in the location model; this again conf...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Statistics & probability letters 2010-12, Vol.80 (23), p.1940-1946
1. Verfasser: JURECKOVA, Jana
Format: Artikel
Sprache:eng
Schlagworte:
Bioinformatics
Computer Science
Distribution theory
Exact sciences and technology
Extreme regression quantile
General topics
Life Sciences
Linear inference, regression
Mathematics
Order statistic
Order statistic Regression quantile Extreme regression quantile Regression rank scores Score function
Probability and statistics
Probability theory and stochastic processes
Quantitative Methods
Regression quantile
Regression rank scores
Sciences and techniques of general use
Score function
Statistics
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:The finite-sample distributions of the regression quantile and of the extreme regression quantile are derived for a broad class of distributions of the model errors, even for the non-i.i.d case. The distributions are analogous to the corresponding distributions in the location model; this again confirms that the regression quantile is a straightforward extension of the sample quantile. As an application, the tail behavior of the regression quantile is studied.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2010.08.023